01243nam a22001697a 4500 190311b xxu||||| |||| 00| 0 eng d 0304-405X Four centuries of return predictability / by Benjamin Golez & Peter Koudijs Benjamin Golez ; Peter Koudijs Amsterdam Elsevier February 2018 Pages 197-416 Journal of Financial Economics 127 (2) 0304-405X Abstract We combine annual stock market data for the most important equity markets of the last four centuries: the Netherlands and UK (1629–1812), UK (1813–1870), and US (1871–2015). We show that dividend yields are stationary and consistently forecast returns. The documented predictability holds for annual and multi-annual horizons and works both in- and out-of-sample, providing strong evidence that expected returns in stock markets are time-varying. In part, this variation is related to the business cycle, with expected returns increasing in recessions. We also find that, except for the period after 1945, dividend yields predict dividend growth rates. Dividend-to-price ratio Return predictability Dividend growth predictability lcc SE 361333 361333 0 0 lcc 0 CL CL PER 2019-03-11 0 2019-03-11 00:00:00 2019-03-11 SE